We present a financial market in which investors endogenously organize themselves into a continuous hierarchy of costly private information. Small perturbations of price informativeness can trigger a snowball effect throughout the economy that destabilizes the feedback loop between prices and expectations. Moreover, hierarchies with relatively more highly-informed agents have lower risk premiums and are more stable. In contrast, hierarchies which are more concentrated around the mean have higher risk premiums, and can be less stable. Finally, acquiring information can simultaneously be both a substitute and a complement, depending on which class of investors we consider.